Modelling credit card exposure at default using vine copula quantile regression
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DOI: 10.1016/j.ejor.2023.05.016
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- Hugo E. Caceres & Ben Moews, 2024. "Evaluating utility in synthetic banking microdata applications," Papers 2410.22519, arXiv.org.
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Keywords
Risk analysis; Credit cards; Exposure at default; Quantile regression; Vine copulas;All these keywords.
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